"Trading is statistics and time series analysis." This blog details my progress in developing a systematic trading system for use on the futures and forex markets, with discussion of the various indicators and other inputs used in the creation of the system. Also discussed are some of the issues/problems encountered during this development process. Within the blog posts there are links to other web pages that are/have been useful to me.

Instead of using the "label" of my MFE/MAE indicator as determined by the matches found by my Cauchy Schwarz matching algorithm, I'm thinking of using the above CRBM to directly model the price action that immediately follows said matches, use the generative ability of the CRBM to create a set of modelled price bars and then apply the MFE/MAE indicator to these modelled price bars. In this way, I should be able to generate a sort of distribution of future MFE/MAE values as input for making trading decisions.

In my adaptation of the above linked code I have replaced the somewhat complicated motion capture input data with a very simple set of 5 features of the log changes in price between consecutive bars, and also made the code easier to read by spacing it out, using underscores to separate compound word named variables, added some extra comments and renamed some variables to be more relevant to the intended use. I have also split the code into separately callable functions, with an eye on future coding into .oct C++ functions. However, in essence, the code is much the same as is downloadable from the above code link. The code blocks below show my code adaptations so far:-
first, the basic training file

where the last 3 bars on the right of the second chart are the modelled bars of the 3 rightmost bars in the upper chart. At the moment the modelling isn't very good because I'm using simplistic features - this is just proof of concept coding. Future work to do will include finding much better input features, as well as speeding up the running time of the code by compiling into .oct files, and then optimising parameters using my particle swarm optimisation code.